We present a new model of normal tempered stable (NTS) processes with stochastic correlation for multi-asset option … pricing. The model is constructed by extending the constant correlation term in the NTS model to the stochastic correlation …, kurtosis, skewness, and stochastic correlation, multi-asset option pricing is one of the various applications. In particular …

forecasting, the authors propose a new factor multivariate stochastic volatility (fMSV) model for realized covariance measures … correlation MSV model, the conditional/stochastic Wishart autoregressive models, the matrix-exponential MSV model, and the … outperform existing dynamic conditional correlation models for forecasting future covariances. Among the new fMSV models, the …

good on the present set of measures as the stochastic volatility models, with or without dynamic correlation. …The focus of this article is using dynamic correlation models for the calculation of minimum variance hedge ratios …. Modelling the correlation explicitly is shown to produce the best hedges when applied to the simulated data. For financial time …

The paper develops a novel realized matrix-exponential stochastic volatility model of multivariate returns and realized …. The volatility and co-volatility spillovers are examined via the news impact curves and the impulse response functions … from returns to volatility and co-volatility. …

Cholesky multivariate stochastic volatility model. It establishes that systematically different dynamic restrictions are … divergent when volatility clusters idiosyncratically. It is illustrated that this property is important for empirical … indicate that conclusions may critically hinge on a selected ordering of variables. The dynamic correlation Cholesky …

We present a new theory for the conduct of nonparametric inference about the latent spot volatility of a semimartingale … in local estimation blocks, our theory treats the estimation block size k as fixed. While the resulting spot volatility …-to-calculate pointwise confidence intervals for the volatility at any given point in time. Extending the theory to a high …

In an efficient stock market, the returns and their time-dependent volatility are often jointly modeled by stochastic … volatility models (SVMs). Over the last few decades several SVMs have been proposed to adequately capture the defining features … of the relationship between the return and its volatility. Among one of the earliest SVM, Taylor (1982) proposed a …

and portfolios. We document that the SDF is dense in characteristics with the impliedrealized volatility spread, option …